Description
This extends the work of swhanly with a variation of accelerating dual momentum. However, here the use of regular currency and index funds for a diversified performance.
This strategy uses the following risk-on assets: FXA, FXB, FXC, FXE, FXF, FXY, CYB, SPY, QQQ. with UBT being the risk off haven.
It will buy only one risk on asset at a time.
Trading happens on the Close
of the signal day
Details
Metrics
Metric | Measure |
---|---|
AccountName | default |
NoOfTrades | 60.00 |
NoOfWins | 38.00 |
NoOfLosses | 22.00 |
SharpRatio | 0.93 |
SortinoRatio | 1.17 |
GrossProfit | $59983.48 |
FirstDate | 2010-01-28 |
LastDate | 2022-12-07 |
FirstEquity | $10000.00 |
FinalEquity | $69983.48 |
OpenEquity | $53517.98 |
LongEquity | $59983.48 |
ShortEquity | $0.00 |
PercentWins | 63.33% |
AveWin | 9.27% |
AveLoss | -3.38% |
AveWinLoss | 2.74 |
Expectancy | 4.63% |
AveDrawUp | 36.25% |
AveDrawDown | -9.50% |
MaxDrawDown | -20.44% |
Kelly | 49.97% |
Thorpe | 91.14 |
APR | 16.34% |
CalmarRatio | 1.72 |
Trades
Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
---|---|---|---|---|---|---|---|---|---|
QQQ | 2010-01-28 | 2010-01-29 | $38.58 | $37.90 | Long | 198.0 | -1.75% | 2328.54 | 9866.70 |
SPY | 2010-01-29 | 2010-02-26 | $83.76 | $86.37 | Long | 90.0 | 3.12% | 2410.07 | 10101.86 |
QQQ | 2010-02-26 | 2010-06-30 | $39.65 | $37.95 | Long | 194.0 | -4.30% | 2300.86 | 9771.49 |
UBT | 2010-06-30 | 2010-07-30 | $20.41 | $20.03 | Long | 366.0 | -1.88% | 2296.95 | 9631.35 |
FXY | 2010-07-30 | 2010-08-31 | $114.60 | $117.83 | Long | 64.0 | 2.82% | 2320.35 | 9838.07 |
UBT | 2010-08-31 | 2010-09-10 | $23.49 | $20.96 | Long | 320.0 | -10.76% | 9028.94 | 9028.94 |
UBT | 2010-09-29 | 2010-09-30 | $22.29 | $22.25 | Long | 309.0 | -0.17% | 2119.38 | 9017.04 |
FXA | 2010-09-30 | 2010-10-29 | $82.12 | $83.46 | Long | 84.0 | 1.64% | 2246.07 | 9129.87 |
FXY | 2010-10-29 | 2010-11-30 | $122.93 | $118.16 | Long | 56.0 | -3.88% | 2091.24 | 8863.03 |
QQQ | 2010-11-30 | 2011-03-31 | $46.38 | $51.32 | Long | 146.0 | 10.64% | 2276.26 | 9583.36 |
SPY | 2011-03-31 | 2011-04-29 | $105.90 | $108.97 | Long | 69.0 | 2.90% | 2367.83 | 9794.98 |
FXA | 2011-04-29 | 2011-05-31 | $95.22 | $93.04 | Long | 78.0 | -2.29% | 2311.55 | 9624.59 |
FXF | 2011-05-31 | 2011-07-29 | $116.08 | $125.79 | Long | 63.0 | 8.36% | 2413.57 | 10236.32 |
UBT | 2011-07-29 | 2011-10-14 | $20.21 | $27.39 | Long | 387.0 | 35.49% | 13012.84 | 13012.84 |
UBT | 2011-10-28 | 2012-01-31 | $26.11 | $30.88 | Long | 381.0 | 18.25% | 3499.22 | 14828.18 |
QQQ | 2012-01-31 | 2012-09-28 | $54.47 | $62.12 | Long | 208.0 | 14.06% | 3964.41 | 16420.72 |
SPY | 2012-09-28 | 2013-07-31 | $118.63 | $141.38 | Long | 105.0 | 19.17% | 4440.78 | 18809.02 |
QQQ | 2013-07-31 | 2014-03-31 | $69.41 | $81.33 | Long | 207.0 | 17.17% | 5054.69 | 21276.07 |
SPY | 2014-03-31 | 2014-05-30 | $159.03 | $163.85 | Long | 102.0 | 3.03% | 5137.80 | 21767.89 |
UBT | 2014-05-30 | 2014-06-30 | $29.80 | $29.63 | Long | 558.0 | -0.57% | 5163.72 | 21673.35 |
QQQ | 2014-06-30 | 2014-07-31 | $87.35 | $88.39 | Long | 189.0 | 1.18% | 5150.67 | 21868.49 |
UBT | 2014-07-31 | 2014-08-29 | $30.07 | $32.69 | Long | 556.0 | 8.72% | 5505.43 | 23325.46 |
QQQ | 2014-08-29 | 2014-09-30 | $92.81 | $92.11 | Long | 192.0 | -0.76% | 5468.32 | 23190.61 |
UBT | 2014-09-30 | 2014-10-31 | $31.42 | $33.23 | Long | 564.0 | 5.76% | 5775.04 | 24211.09 |
QQQ | 2014-10-31 | 2015-06-30 | $94.54 | $100.66 | Long | 195.0 | 6.47% | 5976.69 | 25404.12 |
FXF | 2015-06-30 | 2015-07-31 | $103.89 | $100.46 | Long | 187.0 | -3.30% | 5825.04 | 24762.69 |
TBF | 2015-07-31 | 2015-11-30 | $24.25 | $24.01 | Long | 781.0 | -1.00% | 5777.93 | 24573.39 |
UBT | 2015-11-30 | 2016-03-31 | $35.26 | $41.15 | Long | 533.0 | 16.69% | 6585.85 | 27709.45 |
FXA | 2016-03-31 | 2016-04-29 | $74.38 | $73.82 | Long | 284.0 | -0.75% | 6545.17 | 27550.00 |
FXY | 2016-04-29 | 2016-06-30 | $90.93 | $93.58 | Long | 231.0 | 2.91% | 6662.58 | 28162.15 |
UBT | 2016-06-30 | 2016-07-29 | $46.44 | $48.45 | Long | 463.0 | 4.34% | 6838.92 | 29095.77 |
FXY | 2016-07-29 | 2016-08-31 | $94.71 | $93.35 | Long | 235.0 | -1.44% | 6856.29 | 28776.17 |
QQQ | 2016-08-31 | 2016-11-30 | $110.71 | $111.99 | Long | 198.0 | 1.16% | 6944.83 | 29031.14 |
SPY | 2016-11-30 | 2016-12-30 | $197.20 | $201.20 | Long | 112.0 | 2.03% | 6939.71 | 29479.12 |
QQQ | 2016-12-30 | 2017-08-31 | $113.26 | $140.44 | Long | 199.0 | 23.99% | 8219.27 | 34886.76 |
UBT | 2017-08-31 | 2017-09-29 | $40.53 | $38.58 | Long | 658.0 | -4.79% | 7983.75 | 33608.07 |
QQQ | 2017-09-29 | 2017-11-30 | $140.02 | $149.36 | Long | 183.0 | 6.67% | 8462.08 | 35316.94 |
SPY | 2017-11-30 | 2017-12-29 | $241.94 | $244.86 | Long | 111.0 | 1.21% | 8444.41 | 35641.53 |
QQQ | 2017-12-29 | 2018-04-30 | $150.26 | $155.51 | Long | 181.0 | 3.50% | 8608.71 | 36592.51 |
CYB | 2018-04-30 | 2018-05-31 | $24.48 | $24.20 | Long | 1143.0 | -1.17% | 8655.47 | 36264.02 |
QQQ | 2018-05-31 | 2018-10-31 | $164.34 | $164.74 | Long | 168.0 | 0.25% | 8549.32 | 36332.07 |
TBF | 2018-10-31 | 2018-12-31 | $23.50 | $21.89 | Long | 1182.0 | -6.86% | 8108.47 | 34427.56 |
UBT | 2018-12-31 | 2019-06-28 | $37.65 | $45.05 | Long | 699.0 | 19.65% | 9317.16 | 39598.67 |
QQQ | 2019-06-28 | 2019-07-31 | $182.42 | $186.68 | Long | 166.0 | 2.33% | 9472.18 | 40305.69 |
UBT | 2019-07-31 | 2019-11-07 | $45.14 | $46.98 | Long | 683.0 | 4.07% | 41559.67 | 41559.67 |
UBT | 2019-11-27 | 2019-11-29 | $50.50 | $50.25 | Long | 629.0 | -0.49% | 9884.97 | 41403.96 |
QQQ | 2019-11-29 | 2020-01-31 | $200.76 | $214.90 | Long | 157.0 | 7.04% | 10280.47 | 43623.56 |
UBT | 2020-01-31 | 2020-03-10 | $54.30 | $65.24 | Long | 614.0 | 20.14% | 50339.83 | 50339.83 |
UBT | 2020-03-30 | 2020-06-04 | $68.87 | $61.53 | Long | 559.0 | -10.66% | 46234.05 | 46234.05 |
UBT | 2020-06-29 | 2020-06-30 | $67.13 | $66.59 | Long | 526.0 | -0.79% | 10843.74 | 45953.41 |
QQQ | 2020-06-30 | 2021-02-26 | $243.82 | $310.35 | Long | 144.0 | 27.29% | 13064.61 | 55534.49 |
SPY | 2021-02-26 | 2021-06-30 | $369.30 | $418.36 | Long | 115.0 | 13.28% | 14494.10 | 61176.35 |
QQQ | 2021-06-30 | 2021-07-30 | $350.99 | $361.04 | Long | 133.0 | 2.86% | 14939.94 | 62511.90 |
SPY | 2021-07-30 | 2021-08-31 | $428.58 | $441.33 | Long | 111.0 | 2.98% | 15389.19 | 63927.63 |
QQQ | 2021-08-31 | 2021-09-30 | $376.27 | $354.89 | Long | 129.0 | -5.68% | 14401.38 | 61170.18 |
UBT | 2021-09-30 | 2021-10-29 | $51.91 | $54.24 | Long | 901.0 | 4.50% | 15039.94 | 63272.75 |
QQQ | 2021-10-29 | 2021-11-30 | $382.80 | $390.44 | Long | 126.0 | 2.00% | 15141.22 | 64235.88 |
UBT | 2021-11-30 | 2022-01-04 | $57.15 | $51.31 | Long | 859.0 | -10.23% | 59214.37 | 59214.37 |
UBT | 2022-01-28 | 2022-01-31 | $50.86 | $50.45 | Long | 890.0 | -0.80% | 13830.83 | 58850.46 |
TBF | 2022-01-31 | 2022-12-07 | $16.56 | $20.65 | Long | 2719.0 | 24.73% | 69983.48 | 69983.48 |